Weather derivatives pricing using regime switching model
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Publication:1746426
DOI10.1515/mcma-2018-0002zbMath1408.91212OpenAlexW2597724362MaRDI QIDQ1746426
Xiangfeng Yang, Martin Singull, Emmanuel Evarest, Fredrik Berntsson
Publication date: 25 April 2018
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2018-0002
Numerical methods (including Monte Carlo methods) (91G60) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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